Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure

DOI10.1016/j.insmatheco.2012.01.007zbMath1284.91257OpenAlexW2082462526MaRDI QIDQ2444715

Fouad Marri, Edward Furman

Publication date: 10 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.01.007

zbMATH Keywords

compound Poisson processesactuarial pricingcopula-based dependenceEsscher pricing functional

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Risk models based on copulas for premiums and claim sizes, Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks, Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

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